A dual exact penalty formulation for the linear complementarity problem (Q1093553)

We consider a dual exact penalty formulation for the monotone linear complementarity problem. Tihonov regularization is then used to reduce the solution of the problem to the solution of a sequence of positive- definite, symmetric quadratic programs. A modified form of an SOR method due to Mangasarian is proposed to solve these quadratic programs. We also indicate how to obtain approximation solutions to predefined tolerance by solving a single quadratic program, in special cases.